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News Tone, Investor Sentiment, and Liquidity Premium

Liu, Jun; Wu, Kai; Zhou, Ming - 2022

Investor sentiment affects stock market liquidity by affecting noise trading and irrational market makers. Previous studies have focused on this effect with the time-series variation in sentiment and liquidity. This paper utilizes firm-specific news sentiment (FSNS) to examine its effect on...

Persistent link: https://www.econbiz.de/10013492675

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar - 2016

Short rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.31%, a net-of-fees return of 0.78%, and a 1.44%...

Persistent link: https://www.econbiz.de/10013006777

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Riskiness Measures and Expected Returns

Bali, Turan G. - 2012

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...

Persistent link: https://www.econbiz.de/10013114947

What Explains the Variance of Prices and Returns? : Time-series Vs. Cross-section

Chaves, Denis B. - 2009

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Persistent link: https://www.econbiz.de/10013154202

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Asset-Pricing Anomalies at the Firm Level

Cederburg, Scott - 2014

portfolio-based methods. In our initial tests, we confirm the existence of several CAPM anomalies at the firm level. Prominent … linked to their additional factors. Further results suggest that the economic importance of CAPM anomalies is overstated. We … find that anomalies are primarily confined to small stocks, few characteristics are associated with CAPM alphas out of …

Persistent link: https://www.econbiz.de/10013052445

Speculative Stock Price and Inadequacy of the Implied Cost of Capital as a Proxy for Expected Return

Fong, Robert - 2020

The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...

Persistent link: https://www.econbiz.de/10012839261

Credit rating downgrade risk on equity returns

Brakatsoulas, Periklis; Kukacka, Jiri - 2020

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

Persistent link: https://www.econbiz.de/10012242861